A General Class of One-Step Approximation for Index-1 Stochastic Delay-Differential-Algebraic Equations

This paper develops a class of general one-step discretization methods for solving the index-1 stochastic delay differential-algebraic equations. The existence and uniqueness theorem of strong solutions of index-1 equations is given. A strong convergence criterion of the methods is derived, which is applicable to a series of one-step stochastic numerical methods. Some specific numerical methods, such as the Euler-Maruyama method, stochastic θ-methods, split-step θ-methods are proposed, and their strong convergence results are given. Numerical experiments further illustrate the theoretical results. Mathematics subject classification: 34K50, 60H35, 65L80, 65L20.

• Publication year

  2019

• Venue

  Journal of Computational Mathematics

• Publication date

  2019-06-01

• Fields of study

  Mathematics

• Identifiers
  DOI 10.4208/JCM.1711-M2016-0810
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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